Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 3 4
Score 2.68 1.48 2.24
Market Cap (Millions USD) NA NA NA
Predicted Beta 2.08 2.07 2.03
Idiosyncratic Volatility 2.31 2.06 2.53

Annualized return and volatility

VIMAX
Annualized Return 0.0974
Annualized Std Dev 0.2005
Annualized Sharpe (Rf=0%) 0.4858

Row

Daily Return Statistics

VIMAX
Observations 4639.0000
NAs 475.0000
Minimum -0.1019
Quartile 1 -0.0049
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0065
Maximum 0.1186
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0126
Skewness -0.2517
Kurtosis 9.0237

Downside Risk

VIMAX
Semi Deviation 0.0092
Gain Deviation 0.0088
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.5888
Historical VaR (95%) -0.0192
Historical ES (95%) -0.0307
Modified VaR (95%) -0.0189
Modified ES (95%) -0.0330
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2011-02-08 -0.5888 917 426 491
2002-04-17 2002-10-09 2003-11-06 -0.3190 404 125 279
2011-07-08 2011-10-03 2012-03-13 -0.2461 174 62 112
2018-08-30 2018-12-24 2019-04-05 -0.2122 153 82 71
2015-05-22 2016-02-11 2016-07-22 -0.1968 299 186 113

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec VIMAX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2002 -0.2 2.0 0.0 0.3 0.0 -2.4 -2.2 0.0 2.2 2.0 0.0 0.0 1.6
2003 0.0 0.0 0.7 -0.2 0.0 0.5 -0.7 0.0 1.9 0.0 1.3 0.0 3.4
2004 0.0 1.4 0.7 0.0 0.1 -1.1 0.0 0.6 1.5 0.1 1.3 0.0 4.5
2005 0.7 0.6 -0.2 0.0 0.8 0.6 0.2 0.2 0.0 0.1 1.6 0.0 4.6
2006 0.0 1.1 0.0 -0.1 1.3 0.0 -0.7 0.5 0.0 -1.0 -0.2 0.0 1.1
2007 0.8 -0.4 0.0 0.2 0.4 0.0 0.1 0.0 1.5 -2.3 0.0 0.0 0.3
2008 2.3 0.0 3.7 1.4 0.0 0.2 -0.4 0.0 -1.0 0.0 -10.2 0.0 -4.5
2009 0.0 0.0 1.3 0.3 3.7 0.7 0.0 -2.6 -3.3 0.0 1.6 0.0 1.5
2010 1.9 1.7 1.0 0.0 -2.6 -0.4 0.0 3.5 0.3 0.0 2.2 0.0 7.7
2011 1.5 -1.9 0.6 0.0 -2.4 1.6 -0.8 -1.5 0.0 -2.9 -0.1 0.0 -5.8
2012 1.5 0.8 0.0 0.6 -3.1 0.0 -0.6 0.0 0.0 1.8 0.0 0.0 0.9
2013 0.8 0.2 -0.9 -1.1 0.0 0.8 1.8 0.0 1.1 0.2 0.0 0.0 2.9
2014 0.0 0.0 1.0 0.2 0.0 0.7 -0.2 0.0 -1.5 0.0 -1.1 0.0 -0.9
2015 0.0 0.0 -0.4 1.2 0.2 0.6 0.0 -2.8 0.1 0.0 0.9 0.0 -0.4
2016 0.2 2.3 0.4 0.0 0.2 0.3 -0.4 0.1 0.0 -0.8 -0.8 0.0 1.6
2017 -0.1 1.2 0.0 0.1 1.2 0.0 0.2 0.4 0.0 -0.1 -0.3 0.0 2.5
2018 -0.1 -0.9 0.0 0.1 1.0 0.0 -0.6 0.0 -0.2 1.7 0.0 0.0 1.0
2019 0.4 0.7 1.2 -1.1 0.0 0.7 -1.3 0.0 -1.4 1.1 0.0 0.1 0.4

Row

Rolling Performance Chart

Snail Trail Chart